ORFE Assistant Professor Ludovic Tangpi Receives His First NSF Grant

May 14, 2020

ORFE congratulates Professor Ludovic Tangpi on receiving his first NSF grant for his proposal entitled “Probabilistic Approach to Rough PDEs: Applications to Finance and Control”. The goal of this project is to develop novel probabilistic methods for the theoretical and numerical analysis of partial differential equations with irregular coefficients. The emphasis will be on equations arising in quantitative finance, various singular optimal control problems, and differential games.